Robust optimal R&D investment under technical uncertainty in a regime-switching environment

Authors :: Nan-jing Huang
Ming-hui Wang
Source :: Optimization. 71:1557-1578
Publication Year :: 2020
Publisher :: Informa UK Limited, 2020.
Abstract: In this paper, we extend the classic optimal research and development (R&D) investment model into the regime-switching environment. We formulate a robust model to obtain the maximal net value funct...

Subjects :: Net asset value
Control and Optimization
Applied Mathematics
Econometrics
Regime switching
Management Science and Operations Research
Investment (macroeconomics)
Mathematics

Tools